NormalSpectralRiskMeasure {Dowd}

Estimates the spectral risk measure of a portfolio

Description

Function estimates the spectral risk measure of a portfolio assuming losses are normally distributed, assuming exponential weighting function with specified gamma.

Usage

NormalSpectralRiskMeasure(mu, sigma, gamma, number.of.slices)

Arguments

mu

Mean losses

sigma

Standard deviation of losses

gamma

Gamma parameter in exponential risk aversion

number.of.slices

Number of slices into which density function is divided

Value

Estimated spectral risk measure

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

# Generates 95% confidence intervals for normal VaR for given parameters
   NormalSpectralRiskMeasure(0, .5, .8, 20)